What is the delta of a put option with strike price

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1. IBM stock currently sells for 49 dollars per share. Over 12 months the price will either go by 11.5 percent or down by -7.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. What is the value of a put option with strike price 51 and maturity 12 months?

a. 1.1797

b. 1.9353

c. 0.62718

d. 3.2557

2. IBM stock currently sells for 49 dollars per share. Over 12 months the price will either go by 11.5 percent or down by -7.0 percent. The risk-free rate of interest is 4.5 percent continuously compounded. What is the delta of a put option with strike price 51 and maturity 12 months?

a. -0.59901

b. 0.59901

c. 0.40099

d. -0.40099

Reference no: EM131328315

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